Paper Type |
Contributed Paper |
Title |
Numerical Solution of Multi-Asset Option Pricing Problems Using an Improved RBF-DQ Method |
Author |
Leila Khodayari and M. Ranjbar |
Email |
leila.khodayari@azaruniv.edu; m_ranjbar@azaruniv.edu |
Abstract: In this paper, a modification of the original global radial basis functions-based differential quadrature (RBF-DQ) method is set forth and analyzed. The improved RBF-DQ method is applicable to the numerical approximation of solutions of a wide range of partial differential equations (PDEs) with mixed derivative terms. However, it appears to be considerably faster than the original method. In support of this contention, the multi-dimensional Black-Scholes (BS) equation in the Geometric Brownian Motion (GBM) framework has been solved numerically by using the proposed method and compared with results obtained via the original RBF-DQ method. For accuracy achieved versus work expended, the improved method performs better.
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Start & End Page |
1735 - 1743 |
Received Date |
2015-01-04 |
Revised Date |
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Accepted Date |
2016-02-03 |
Full Text |
Download |
Keyword |
radial basis functions, multi-dimensional Black-Scholes equation, differential quadrature, European option |
Volume |
Vol.44 No.4 (October 2017) |
DOI |
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SDGs |
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